delay A white noise approach to optimal insider control of systems with Journal of Mathematical Analysis and Applications

In the second part, using the Malliavin calculus approach, we deduce a general maximum principle for optimal control of general stochastic Volterra equations..

[9] Gozzi F., Marinelli C., Stochastic optimal control of delay equations aris- ing in advertising models, Da Prato (ed.) et al., Stochastic partial dif- ferential equations

In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps1. This problem can be written as a

[8] Gozzi F., Marinelli C., Stochastic optimal control of delay equations arising in advertis- ing models, Da Prato (ed.) et al., Stochastic partial differential equations and

The optimal portfolio problem for a general utility function is studied for a financial market driven by a L´ evy process in the framework of forward anticipating calculus.. Key

In Section 3, we use Malliavin calculus to obtain a maximum principle for this general non-Markovian insider information stochastic control problem.. Section 4 considers the

We consider optimal control problems for systems described by stochastic dif- ferential equations with delay.. We prove two (sufficient) maximum principles for certain classes of

[23] Vinter R.B., Kwong R.H., The infinite time quadratic control problem for linear systems with state and control delays: an evolution equation approach, SIAM Journal of Control